Research
Convergence of Islamic and Conventional Interbank Rates
Financial Institutions’ (FI) and banks’ earnings on the trading portfolio are significantly influenced by the changing market conditions such as price of an asset, interest rates, market volatility, and market liquidity. Researchers to measure the risk related uncertainty of the FI’s earnings use few Market Risk Measurement Models (MRM). Historic Back Simulation Model is one of the approaches that consider the return on all assets, as non-normal, as against the RiskMetric Model that considers the returns on assets is symmetric. This paper investigates the risk and return associated with Islamic interbank offered rates (IIBOR) in Malaysia using Back Simulation model and the results are compared with the conventional interbank offered rates (CIBOR). On application of the Back Simulation approach over the two different data sets (Yield Rates of IIBOR and CIBOR), it was found that during the de-peg period, the value losses and gains for Islamic trading portfolios were found to be significantly higher at the tail end horizon de-peg period. We also conducted independent sample “t†test to compare the mean losses and mean gains reported during these three time periods. We found that the CIBOR was active during crisis and peg periods IIBOR was active after de-pegging with higher losses and gains. These higher losses and gains of IIBOR are due to the active participation of money market players and experience gained in the last decade in Islamic finance. The IIBOR now provides the much-needed liquidity for Islamic finance products and this will further push up the growth of Islamic finance.
Convergence of Actual and Predicted Share Prices a An ADALINE Neural Network Approach
Accurate forecasting of share prices is needed for fund managers and institutional investors for hedging decisions. Robust forecasting results will not only increase the effectiveness of hedging and reduce the hedging costs but also provide benchmarks for controlling and decision making. Existing traditional models for forecasting share prices rarely produce fair results. In this paper we have applied neural net work ADALINE approach to forecast the share prices listed in the Malaysian stock exchange. Adaptive linear neural net uses a moving window approach in updating its weights while training and this improves the accuracy of forecasting. We applied this technique on four share prices at four learning rates and the results nicely converge with the actual prices at higher learning rates. Our findings will increase the confidence in forecasting and will be helpful for stakeholders immensely.
Data Mining Through Self Organising Maps Applied on Select Exchange Rates
The self organising maps are gaining popularity as they help in organizing the haphazard data in topological maps. They conserve space in storing, help in pattern identification, matching, recognition, data mining etc. The Neural Networks designed by Hopfield is applied in this paper to organize the returns produced by seven exchange rates by the competitive Kohonen algorithm. Our analysis produces interesting self organizing maps for these currency returns. All exchange rate returns are nicely organized in a solid tight group and placed at the center of the boundary rectangle except for US dollar, European Euro and Korean Won. One weekly grouped return fall outside the boundary rectangle for these three exchange rates. These grouped returns are outliers which could have germinated by significant information or an economic event happened in these countries.
RELATIVE RISK OF ISLAMIC SUKUK OVER GOVERNMENT AND CONVENTIONAL BONDS
Islamic bonds (sukuk) and conventional bond markets operate simultaneously in Malaysia complementing each other; the former operates on profit rates and the later on interest rates. In this paper we have analysed selected sukuks traded in Malaysia in terms of duration and convexity which are vital in deciding the market risk of fixed income bearing security. We compare these durations and convexities with that of government bonds and conventional bonds to assess the relative sensitivity of sukuk. Since the government bonds are highly liquid, without credit risk they stand better than sukuk. When compared with conventional bonds the sukuk stands better in these sensitivity measures. Interestingly the sukuk’s duration and convexities fall exactly in the middle between government and conventional bonds. The sukuk investor will get a better yield rate when compared to government bonds and lower rate when compared to conventional bonds. This information conveys that the Islamic sukuk is lesser risky than conventional bonds. Our findings are significant for the investors who are not investing in pure sukuk alone. The blend of government, Islamic and conventional bonds in a portfolio will bring down market risk and in addition will provide stable income above the government bonds.
aoMACHIAVELLIAN ORIENTATION AMONG MEDICAL REPRESENTATIVES IN PHARMACEUTICAL INDUSTRYa
Machiavellianism is an essential personality attribute for medical representatives in the pharmaceutical industry. The purpose of the study is to find out the Machiavellian orientation among gender and domestic or multinational pharmaceutical companies. Data is collected using a simple random and cluster sampling through a structured questionnaire using Mach IV scale (n=300). The research design is hypothesis testing and it is a cross-sectional study. Results indicate that male and multinational company medical reps are low Machiavellians compared to female and domestic company medical representatives. If the pharmaceutical companies can determine Machiavellianism of medical representatives at the time of their selection itself this can be a litmus test to determine their potential as productive medical representative. Machiavellian orientation will be more beneficial in the short term, and may damage the long term relationship with wholesalers and the medical fraternity. Hence, there is a need of more studies on long term relationships.
Predictive Accuracy of GARCH, GJR and EGARCH Models Select Exchange Rates Application
Accurate forecasted data will reduce not only the hedging costs but also the information will be useful in several other decisions. This paper compares three simulated exchange rates of Malaysian Ringgit with actual exchange rates using GARHC, GJR and EGARCH models. For testing the forecasting effectiveness of GARCH, GJR and EGARCH the daily exchange rates four currencies viz Australian Dollar, Singapore Dollar, Thailand Bhat and Philippine Peso are used. The forecasted rates, using Gaussian random numbers, are compared with the actual exchange rates of year 2011 to estimate errors. Both the forecasted and actual rates are plotted to observe the synchronisation and validation. The results show more volatile exchange rates are predicted well by these GARCH models efficiently than the hard currency exchange rates which are less volatile. Among the three models the effective model is indeterminable as these models forecast the exchange rates in different number of iterations for different currencies. The leverage effect incorporated in GJR and EGARCH models do not improve the results much. The results will be useful for the exchange rate dealers like banks, importers and exporters in managing the exchange rate risks through hedging.
Accessing the Construct And Content Validity Of Uncertainty Business Using Sem Approach- An Exploratory Study Of Manufacturing Firms
Construct and content validity is necessary to provide purified data for any exploratory research study. The commonly widely used in any exploratory research study is Cronbach Alpah to analyze data validity. However more robust analysis like Confirmatory Factor Analysis (CFA) in Structural Equation Modeling provides more rigorous analysis of model power in relation to construct and content validity. This paper provides insight of this construct and content analysis using the CFA approach by analyzing the Business Environmental Uncertainty research variable. To achieve the intended research objective, the BEU is explored in the context of Malaysian manufacturing sectors. Detailed illustration of the validity, analysis using the CFA approach together with the Cronbach Alpah was provided. The result analysis indicates to improve the model power in relation to the validity any manifest variables below the threshold require to be dropped. Moreover the Cronbach Alpah value is not much affected although some of the manifest variables do not significantly contribute to the research variable. In conclusion, a recommendation was give for future research to test the data validity.
Performance Evaluation Of Faculties At A Private University A Data Envelopment Analysis Approach
This research explores the performance efficiency of faculties at a Malaysian university using data envelopment analysis. The method applies a multiple of input and output variables approach in assessing performance efficiency, which is an added advantage to other approaches using simple performance ratios. Inputs like number of students, number of academic staff working and budgetary allocations and outputs like number of graduates and number of research articles published have been applied in data envelopment analysis to get the performance efficiency of a faculty in a university. Data analysis reveals that all faculties except for one, was found to be efficient when compared to the composite faculty. This research contributes significantly in evaluating each faculty’s performance in relation to a hypothetical composite faculty and ultimately contributes to the overall performance of a university in the education sector.
